Using a sample of S&P 500 stocks, this paper examines the investor sentiment spillover network between firms and assesses how the sentiment connectedness in the network impacts stock price crash risk. We demonstrate that firms with higher sentiment connectedness are more likely to crash as they spread more irrational sentiment signals and are more sensitive to investor behaviors. Notably, we find that the effect of investor sentiment on crash risk mainly stems from sentiment connectedness among firms rather than firms' individual sentiment, especially when market sentiment is surging or declining. These findings remain robust after controlling for other determinants of crash risk, including stock price synchronicity, accounting conservatism, and internal corporate governance strength. Our results underscore the importance of sentiment connectedness among firms and provide valuable insights for risk management among investors and regulatory authorities involved in monitoring risk.

Keywords: investor sentiment spillover; sentiment connectedness; stock price crash risk.

使用标普500指数股票样本，本文研究了公司之间的投资者情绪溢出网络，并评估了网络中的情绪关联性如何影响股价崩盘风险。我们证明，情绪关联性较高的公司在传播更多非理性的情绪信号并对外部投资者行为更加敏感的情况下，更有可能发生股价崩盘。值得注意的是，当市场情绪高涨或低迷时，投资者情绪对崩盘风险的影响主要来自公司间的情绪关联性，而不仅仅是单个公司的个体情绪。在控制了其他影响崩盘风险的因素（如股票价格同步性、会计保守性和内部控制强度）之后，这些发现仍然具有稳健性。我们的研究结果强调了公司在情绪关联性方面的重要性，并为投资者和监管机构的风险管理提供了有价值的见解。

关键词： 投资者情绪溢出；情绪关联性；股价崩盘风险。